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"Déjà vol" revisited : survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios

Conrad, Christian; Glas, Alexander - 2018

We investigate the question of whether macroeconomic variables contain information about future stock volatility beyond that contained in past volatility. We show that forecasts of GDP growth from the Federal Reserve's Survey of Professional Forecasters predict volatility in a cross-section of...

Persistent link: https://www.econbiz.de/10011914124

Forecasting exchange rate volatility : is economic policy uncertainty better?

Ruan, Qingsong; Zhang, Jiarui; Lv, Dayong - In: Applied economics 56 (2024) 13, pp. 1526-1544

Persistent link: https://www.econbiz.de/10014473121

Predicting asset returns in the BRICS : the role of macroeconomic and fundamental predictors

Sousa, Ricardo M.; Vivian, Andrew; Wohar, Mark E. - In: International review of economics & finance : IREF 41 (2016), pp. 122-143

Persistent link: https://www.econbiz.de/10011624662

A MIDAS approach to modeling first and second moment dynamics

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of econometrics 193 (2016) 2, pp. 315-334

Persistent link: https://www.econbiz.de/10011704952

The importance of time‐varying volatility and country interactions in forecasting economic activity

Trypsteen, Steven - In: Journal of forecasting 36 (2017) 6, pp. 615-628

Persistent link: https://www.econbiz.de/10011861398

Forecasting the good and bad uncertainties of crude oil prices using a HAR framework

Gong, Xu; Lin, Boqiang - In: Energy economics 67 (2017), pp. 315-327

Persistent link: https://www.econbiz.de/10011897926

Sticky prices or economically-linked economies : the case of forecasting the Chinese stock market

Jordan, Steven J.; Vivian, Andrew; Wohar, Mark E. - In: Journal of international money and finance 41 (2014), pp. 95-109

Persistent link: https://www.econbiz.de/10010338740

Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model

Liu, Jian; Zhang, Ziting; Yan, Lizhao; Wen, Fenghua - In: Financial innovation : FIN 7 (2021), pp. 1-19

EUA futures. Specifically, the forecast accuracy of the EU EPU index is significantly higher than that of the global EPU …

Persistent link: https://www.econbiz.de/10012705421

Real-time forecasting of the Australian macroeconomy using flexible bayesian VARs

Zhang, Bo; Bao Hoang Nguyen - 2020

Persistent link: https://www.econbiz.de/10012317113

Time-varying macroeconomic forecast uncertainty : Sweden and the Covid-19 pandemic

Ankargren, Sebastian - 2020

Persistent link: https://www.econbiz.de/10012318297

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